Fixed Income question

aroranidhi2004
Finance Junkie
Posts: 41
Joined: Thu Oct 16, 2014 4:51 pm

Fixed Income question

Postby aroranidhi2004 » Fri May 06, 2016 5:34 am

Hi Edupristine Team,

Can someone please help me with the question below:

Jorgen Welsher, CFA obtains the following quotes for zero coupon government bonds all with a par value of $100.

Type of Price Delivery (years) Maturity (years) Price
Spot 0 3 $91.51
Forward 2 3 $94.55
Spot 0 2 $92.45
Welsher can earn arbitrage profits by:

Regards,
Nidhi

aroranidhi2004
Finance Junkie
Posts: 41
Joined: Thu Oct 16, 2014 4:51 pm

Re: Fixed Income question

Postby aroranidhi2004 » Sat May 07, 2016 11:02 pm

can someone please reply on this?

Regards,
Nidhi


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